文档介绍：August 3, 2001
Investor Psychology in Capital Markets:
Evidence and Policy Implications
Contents
1 Introduction 1
2 The Behavior of Investors and Security Analysts 5
Investors . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6
Security Analysts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
3 Do Investor Biases Affect Asset Prices? 12
Predictability of Asset and Security Returns . . . . . . . . . . . . . . . . 14
CAPM Beta . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
Other Risk Measures . . . . . . . . . . . . . . . . . . . . . . . . . 16
Price parison Measures . . . . . . . . . . . . . . . . . . . 17
Momentum and Long-Run Reversal . . . . . . . . . . . . . . . . . 25
Private Signals and Public News Events . . . . . . . . . . . . . . 28
Mutual Fund Performance . . . . . . . . . . . . . . . . . . . . . . 32
Analyst Forecasts and mendations . . . . . . . . . . . . . . 33
Reactions to Shifts in Fundamental Value Measures . . . . . . . . 34
Short-Sales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37
Feelings and Securities Prices . . . . . . . . . . . . . . . . . . . . 37
The Ability of Markets to Disentangle Relevant and Irrelevant Signals . . 37
Equity Premium, Riskfree Rate and Predictability Puzzles . . . . . . . . 40
Efficiency of Market Information Aggregation . . . . . . . . . . . . . . . 42
The Effect of Investor Biases on Risk Sharing, Consumption and Investment 43
4 Do Firms Exploit Investor Biases? 45
Possible Responses to Mispricing . . . . . . . . . . . . . . . . . . . . . . 45
Do Firms Try to Mislead Investors? . . . . . . . . . . . . . . . . . . . . . 45
5 Investor and Analyst Credulity: Causes and Consequences 47
6 Psychology and Policy: Basic Issues 51
7 Reporting Standards and Disclosure Regulation 56
8 Limiting Freedom of Action 63
9 Co